Portfolio Optimization
37 papers with code • 0 benchmarks • 0 datasets
Portfolio management is the task of obtaining higher excess returns through the flexible allocation of asset weights. In reality, common examples are stock selection and the Enhanced Index Fund (EIF). The general solution of portfolio management is to score the potential of assets, buy assets with upside potential and increase their weighting, and sell assets that are likely to fall or are relatively weak. A large number of strategies have been proposed for portfolio management.
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Latest papers
Efficient and Scalable Parametric High-Order Portfolios Design via the Skew-t Distribution
Initially, profit and risk were measured by the first two moments of the portfolio's return, a. k. a.
RPS: Portfolio Asset Selection using Graph based Representation Learning
Portfolio optimization is one of the essential fields of focus in finance.
A Surrogate Objective Framework for Prediction+Optimization with Soft Constraints
PredOptwithSoftConstraint/PredOptwithSoftConstraint
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Prediction+optimization is a common real-world paradigm where we have to predict problem parameters before solving the optimization problem.
Portfolio Allocation under Asymmetric Dependence in Asset Returns using Local Gaussian Correlations
It is well known that there are asymmetric dependence structures between financial returns.
Deep Reinforcement Trading with Predictable Returns
Alessiobrini/Deep-Reinforcement-Trading-with-Predictable-Returns
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Classical portfolio optimization often requires forecasting asset returns and their corresponding variances in spite of the low signal-to-noise ratio provided in the financial markets.
Stock price prediction using Generative Adversarial Networks
ChickenBenny/Stock-prediction-with-GAN-and-WGAN
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Journal of Computer Science 2021
In this paper, it proposes a stock prediction model using Generative Adversarial Network (GAN) with Gated Recurrent Units (GRU) used as a generator that inputs historical stock price and generates future stock price and Convolutional Neural Network (CNN) as a discriminator to discriminate between the real stock price and generated stock price.
Portfolio Construction as Linearly Constrained Separable Optimization
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes.
Recurrent Neural Networks for Stochastic Control Problems with Delay
frankhan91/RNN-ControlwithDelay
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Stochastic control problems with delay are challenging due to the path-dependent feature of the system and thus its intrinsic high dimensions.
Deep reinforcement learning for portfolio management
watermeloncq/drl-pm-shorting-and-arbitraging
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In our paper, we apply deep reinforcement learning approach to optimize investment decisions in portfolio management.
Off-Policy Optimization of Portfolio Allocation Policies under Constraints
NymishaBandi/constrained-batch-policy-learning
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The dynamic portfolio optimization problem in finance frequently requires learning policies that adhere to various constraints, driven by investor preferences and risk.
